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Nonparametric factor analytic risk measurement in common stocks in financial firms : evidence from Korean firms

Baek, Seungho; Cursio, Joseph D.; Cha, Seung Y. - In: Asia-Pacific journal of financial studies 44 (2015) 4, pp. 497-536

Persistent link: https://www.econbiz.de/10011470947

Nonparametric Factor Analytic Risk Measurement in Common Stocks in Financial Firms : Evidence from Korean Firms

Baek, Seungho - 2015

This research examines the efficiency of nonparametric factor analytic approaches in measuring risk in common stocks of Korean financial firms from the risk-management perspective. This paper shows that using only one risk factor extracted from principal component analysis, the parallel shift or...

Persistent link: https://www.econbiz.de/10013036349

Asymmetric extreme risk spillovers between the Chinese stock market and index futures market : an MV-CAViaR based intraday CoVaR approach

Jian, Zhihong; Wu, Shuai; Zhu, Zhican - In: Emerging markets review 37 (2018), pp. 98-113

Persistent link: https://www.econbiz.de/10012114983

Sequential forecasting of downside extreme risk during overnight and daytime : evidence from the Chinese Stock Market

Jian, Zhihong; Li, Xupei; Zhu, Zhican - In: Pacific-Basin finance journal 64 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012493928

Extreme risk transmission channels between the stock index futures and spot markets : evidence from China

Jian, Zhihong; Li, Xupei; Zhu, Zhican - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013413574

Are systemic risk measures effective? : Evidence from macroeconomic downside risk prediction

Jian, Zhihong; Lu, Haisong; Zhu, Zhican - In: Applied economics letters 31 (2024) 18, pp. 1820-1827

Persistent link: https://www.econbiz.de/10015084409

The complete removal of individual uncertainty: multiple optimal choices and random exchange economies

Sun, Yeneng - In: Economic theory : official journal of the Society for … 14 (1999) 3, pp. 507-544

Persistent link: https://www.econbiz.de/10001455270

On the decomposition and characterization of risk

Khan, M. Ali - 1997

Persistent link: https://www.econbiz.de/10000971091

Weak measurability and characterization of risk

Khan, M. Ali; Sun, Yeneng - In: Economic theory : official journal of the Society for … 13 (1999) 3, pp. 541-560

Persistent link: https://www.econbiz.de/10001389330

Monte Carlo simulation of macroeconomic risk with a continuum of agents : the symmetric case

Hammond, Peter J.; Sun, Yeneng - In: Economic theory : official journal of the Society for … 21 (2003) 2/3, pp. 743-766

Persistent link: https://www.econbiz.de/10001732966